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      <invstOrSec>
        <name>Credit Suisse First Boston Mortgage Securities Corp.</name>
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        <name>Aramark</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Bluemountain Fuji U.S. CLO I</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>Bank of America Corp.</name>
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        <name>Bear Stearns Asset Backed Securities I Trust</name>
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        <name>Government National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Deutsche Bank AG New York Branch</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>Mondelez International Holdings Netherlands BV</name>
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        <name>Citigroup Inc.</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>Rockford Tower Clo 2017-1 Ltd/ Llc</name>
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        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Steele Creek CLO 2014-1 Ltd./LLC</name>
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        <name>Howmet Aerospace Inc</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Government National Mortgage Association</name>
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        <name>Restaurant Brands International</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Bank of Montreal</name>
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        <name>Firstenergy Transmission  Llc</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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        <name>First Citizens BancShares Inc (Delaware)</name>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Citigroup Mortgage Loan Trust</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Federal Home Loan Mortgage Corp.</name>
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        <title>FHR 4197 IG</title>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
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        <title>GNR 2019-11 MI</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
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        <title>GNR 2017-88 IB</title>
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        <assetCat>ABS-O</assetCat>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2039-02-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.50000000</annualizedRt>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
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        <title>GNR 2015-44 AI</title>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Ford Motor Credit Company LLC</name>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2025-05-20</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Venture XV CLO Ltd./LLC</name>
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        <title>VENTR 2013-15A DR2</title>
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        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Federal Home Loan Mortgage Corp.</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHR 4583 ST</title>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2018-1 IP</title>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Federal Home Loan Mortgage Corp.</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHR 4480 IN</title>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNR 2006-109 SG</title>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Citigroup Inc.</name>
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        <invCountry>US</invCountry>

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      <invstOrSec>
        <name>MASTR Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>MALT 2003-7 6A1</title>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>6.50000000</annualizedRt>
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      <invstOrSec>
        <name>Las Vegas Sands Corp</name>
        <lei>549300DUOO1KXOHPM605</lei>
        <title>LVS 2.9 06/25/25</title>
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        <balance>500000.00000000</balance>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2025-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.90000000</annualizedRt>
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      <invstOrSec>
        <name>GSR Mtg Loan Trust</name>
        <lei>N/A</lei>
        <title>GSR 2004-2F 7A2</title>
        <cusip>36229RLM9</cusip>
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        <balance>54576.77000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
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        <name>Government National Mortgage Association</name>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
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        <name>CWABS Inc.</name>
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        <name>Aviation Capital Group LLC</name>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
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      <invstOrSec>
        <name>Federal Home Loan Mortgage Corp.</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHS 256 50</title>
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        <name>Leidos Inc</name>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2010-29 SA</title>
        <cusip>38376XSS3</cusip>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <title>FHR 3772 SA</title>
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        <name>Light &amp; Wonder (Scientific Games)</name>
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        <title>LNW TL B 1L USD</title>
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        <name>GS Mortgage Securities Corp</name>
        <lei>CU46ESEFJB81SUVBJO28</lei>
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        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2017-141 ID</title>
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        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2016-121 JS</title>
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      <invstOrSec>
        <name>Caesars Entertainment Inc</name>
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      <invstOrSec>
        <name>Federal Home Loan Mortgage Corp.</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHS 303 181</title>
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          <couponKind>Floating</couponKind>
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        <name>CWABS Inc.</name>
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        <name>Electricite de France SA</name>
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        <name>KeyCorp</name>
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        <name>BPCE SA</name>
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        <name>Government National Mortgage Association</name>
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        <name>Government National Mortgage Association</name>
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        <name>Government National Mortgage Association</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Government National Mortgage Association</name>
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        <name>Dryden Senior Loan Fnd</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Discover Bank</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNS 418 147</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
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        <title>GNR 2013-75 GI</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Plains All American Pipeline L.P.</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Green Tree Financial Corporation</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Manufacturers &amp; Traders Trust Co.</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Bank of America Corp.</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Option One Mortgage Acceptance Corp.</name>
        <lei>N/A</lei>
        <title>OOMLT 2003-5 A2</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MKS Instruments</name>
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        <title>MKSI TL B 1L USD</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Residential Asset Securities Corp.</name>
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        <name>Federal National Mortgage Association</name>
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        <title>FNR 2011-149 MS</title>
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        <name>Imperial Brands Finance Plc</name>
        <lei>2138008L3B3MCG1DFS50</lei>
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        <name>AutoNation, Inc.</name>
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        <name>Arizona Public Service Company</name>
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        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2017-60 SA</title>
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        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2018-18 BI</title>
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      <invstOrSec>
        <name>Long Beach Mortgage Loan Trust</name>
        <lei>N/A</lei>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Federal Home Loan Mortgage Corp.</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Government National Mortgage Association</name>
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        <name>Halcyon Loan Advisors  Funding 2015 - 2 Ltd./ Halcyon Loan Advisors  Funding 2015 - 2 LLC</name>
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        <name>Morgan Stanley ML</name>
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        <name>Government National Mortgage Association</name>
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        <name>Voya CLO 2018-1, Ltd. / Voya CLO 2018-1, LLC</name>
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        <name>Government National Mortgage Association</name>
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        <name>Government National Mortgage Association</name>
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        <name>Government National Mortgage Association</name>
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        <name>Structured Asset Securities Corp.</name>
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        <name>Government National Mortgage Association</name>
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        <name>Ecp Clo 2015-7 Ltd/Llc</name>
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        <name>Great American Outdoors (Bass Pro Shops)</name>
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        <name>Salomon Brothers Mtg Secs VII Inc</name>
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        <name>Ally Financial Inc.</name>
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        <name>Air Canada</name>
        <lei>4B4HI3CGXMBDC0G6BM51</lei>
        <title>ACACN TL B 1L USD</title>
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        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>Bear Stearns Asset Backed Securities I Trust</name>
        <lei>N/A</lei>
        <title>BSABS 2004-FR3 M3</title>
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          <isin value="US073879KS68"/>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2034-09-25</maturityDt>
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      <invstOrSec>
        <name>GLP Capital L.P. and GLP Financing II, Inc.</name>
        <lei>2549005PXW31DRW8EC44</lei>
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        <balance>500000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2025-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FS KKR Capital Corp</name>
        <lei>549300TYRSI1T21B1360</lei>
        <title>FSK 4 1/8 02/01/25</title>
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        <balance>1301000.00000000</balance>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2025-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>Federal Home Loan Mortgage Corp.</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHR 4473 AS</title>
        <cusip>3137BJAS2</cusip>
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          <isin value="US3137BJAS20"/>
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        <balance>303485.29580000</balance>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2045-05-15</maturityDt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>MASTR Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>MALT 2007-HF1 4AX</title>
        <cusip>55291YAP2</cusip>
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          <isin value="US55291YAP25"/>
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        <balance>479605.56130000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.00000000</annualizedRt>
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      <invstOrSec>
        <name>JP Morgan Mortgage Trust</name>
        <lei>N/A</lei>
        <title>JPMMT 2005-A1 3A5</title>
        <cusip>466247NJ8</cusip>
        <identifiers>
          <isin value="US466247NJ83"/>
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        <balance>22078.14000000</balance>
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        <curCd>USD</curCd>
        <valUSD>20308.68000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.33344000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Barclays PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BACR 3.65 03/16/25</title>
        <cusip>06738EAE5</cusip>
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          <isin value="US06738EAE59"/>
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        <balance>650000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>637871.88000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.65000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Federal Home Loan Mortgage Corp.</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHR 4394 BI</title>
        <cusip>3137BEUD4</cusip>
        <identifiers>
          <isin value="US3137BEUD44"/>
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        <balance>216938.35030000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.50000000</annualizedRt>
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      <invstOrSec>
        <name>Walgreens Boots Alliance, Inc.</name>
        <lei>549300RPTUOIXG4LIH86</lei>
        <title>WBA 3.8 11/18/24</title>
        <cusip>931427AH1</cusip>
        <identifiers>
          <isin value="US931427AH10"/>
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        <balance>665000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>655609.62000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-11-18</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.80000000</annualizedRt>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNR 2018-16 MI</title>
        <cusip>3136B1BT0</cusip>
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          <isin value="US3136B1BT07"/>
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        <balance>1075003.53760000</balance>
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        <curCd>USD</curCd>
        <valUSD>220179.00000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2014-94 JI</title>
        <cusip>38379CZP4</cusip>
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          <isin value="US38379CZP49"/>
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        <balance>6553518.73340000</balance>
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        <curCd>USD</curCd>
        <valUSD>37588.36000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.15000000</annualizedRt>
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      <invstOrSec>
        <name>Teva Pharmaceutical Finance Netherlands III B.V.</name>
        <lei>5493004T21MOAFINJP35</lei>
        <title>TEVA 4 3/4 05/09/27</title>
        <cusip>88167AAP6</cusip>
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          <isin value="US88167AAP66"/>
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        <balance>500000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>479995.20000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-05-09</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.75000000</annualizedRt>
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      <invstOrSec>
        <name>Morgan Stanley ABS Capital I Inc. Trust 2004-NC1</name>
        <lei>549300RLSHIMYD3FZB52</lei>
        <title>MSAC 2004-NC7 M4</title>
        <cusip>61744CFS0</cusip>
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          <isin value="US61744CFS08"/>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.15632800</annualizedRt>
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      <invstOrSec>
        <name>AFC Mortgage Loan</name>
        <lei>N/A</lei>
        <title>AFC 2000-1 1A</title>
        <cusip>00105HEG7</cusip>
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          <isin value="US00105HEG74"/>
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        <balance>11231.89200000</balance>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-03-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNR 2018-35 KI</title>
        <cusip>3136B1E59</cusip>
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        <balance>261956.17220000</balance>
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        <curCd>USD</curCd>
        <valUSD>45200.88000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-05-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
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      <invstOrSec>
        <name>New Century Home Equity Loan Trust 2005-1</name>
        <lei>N/A</lei>
        <title>NCHET 2003-A M1</title>
        <cusip>64352VDS7</cusip>
        <identifiers>
          <isin value="US64352VDS79"/>
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        <balance>19818.81440000</balance>
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        <curCd>USD</curCd>
        <valUSD>20246.40000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.53067100</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Bear Stearns Asset Backed Securities Trust</name>
        <lei>N/A</lei>
        <title>BSABS 2003-ABF1 A</title>
        <cusip>07384YLE4</cusip>
        <identifiers>
          <isin value="US07384YLE40"/>
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        <balance>15590.75200000</balance>
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        <curCd>USD</curCd>
        <valUSD>14883.88000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.17132900</annualizedRt>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>American Tower Corporation</name>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
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        <name>Citizens Financial Group Inc</name>
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        <name>Webster Pk Clo Limited</name>
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        <isRestrictedSec>Y</isRestrictedSec>

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      <invstOrSec>
        <name>Government National Mortgage Association</name>
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        <title>GNR 2017-114 CI</title>
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        <name>Ford Motor Credit Company LLC</name>
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        <name>PNC Bank National Association (Delaware)</name>
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        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNR 2013-10 SJ</title>
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        <name>Federal National Mortgage Association</name>
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        <title>FNR 2007-39 AI</title>
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        <name>Novastar Mortgage Funding Trust</name>
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      <invstOrSec>
        <name>Federal Home Loan Mortgage Corp.</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHR 5174 NI</title>
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        <name>Federal Home Loan Mortgage Corp.</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHR 4419 EI</title>
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        <name>Saxon Asset Securities Trust</name>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNR 2014-68 IB</title>
        <cusip>3136ALRF0</cusip>
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        <balance>480508.80000000</balance>
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        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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        <name>Goldman Sachs Group, Inc.</name>
        <lei>784F5XWPLTWKTBV3E584</lei>
        <title>GS FLOAT 10/21/24</title>
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        <name>Ford Motor Credit Company LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Equity One, Inc.</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2017-130 LI</title>
        <cusip>38380GDT8</cusip>
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          <isin value="US38380GDT85"/>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Natwest Markets PLC</name>
        <lei>RR3QWICWWIPCS8A4S074</lei>
        <title>NWG 0.8 08/12/24</title>
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        <invCountry>GB</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Public Service Enterprise Group Incorporated</name>
        <lei>PUSS41EMO3E6XXNV3U28</lei>
        <title>PEG 2 7/8 06/15/24</title>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2024-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2010-133 SB</title>
        <cusip>38377MHU3</cusip>
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          <isin value="US38377MHU36"/>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2040-10-16</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNR 2010-150 SP</title>
        <cusip>31397QBA5</cusip>
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          <isin value="US31397QBA58"/>
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        <balance>580929.97140000</balance>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2040-10-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Merrill Lynch Mortgage Investors, Inc.</name>
        <lei>N/A</lei>
        <title>MLMI 2003-OPT1 M2</title>
        <cusip>5899295L8</cusip>
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          <isin value="US5899295L80"/>
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        <balance>17019.61730000</balance>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Synchrony Financial</name>
        <lei>549300RS7EWPM9MA6C78</lei>
        <title>SYF 4 1/2 07/23/25</title>
        <cusip>87165BAG8</cusip>
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        <balance>625000.00000000</balance>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>Lloyds Banking Group PLC</name>
        <lei>549300PPXHEU2JF0AM85</lei>
        <title>LLOYDS 4 1/2 11/04/24</title>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Meritage Mortgage Loan Trust</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <name>Blackstone Secured Lending Fund</name>
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        <title>BXSL 3 5/8 01/15/26</title>
        <cusip>09261LAC2</cusip>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>CROWN POINT CLO 4 Ltd</name>
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      <invstOrSec>
        <name>ILFC E-Capital Trust I</name>
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        <title>AER Float 12/21/65</title>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNS 413 155</title>
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        <name>Fidelity Adv Ii</name>
        <lei>EIVUM2R16VT371T5KS40</lei>
        <title>FID-FL RT HI</title>
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        <issuerCat>RF</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNR 2015-40 LT</title>
        <cusip>3136AN4R5</cusip>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
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        <name>Delta Air Lines Inc.</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Ally Financial Inc.</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
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      <invstOrSec>
        <name>Credit Suisse First Boston Mortgage Securities Corp.</name>
        <lei>N/A</lei>
        <title>WIFC 1997-WFC1 M3</title>
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        <name>Federal National Mortgage Association</name>
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        <title>FNR 2009-113 XI</title>
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        <fairValLevel>2</fairValLevel>
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        <name>American Airlines, Inc.</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Credit Suisse AG New York Branch</name>
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        <title>UBS 4 3/4 08/09/24</title>
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        <invCountry>CH</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2009-69 IV</title>
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        <name>Carter Holt Harvey Ltd.</name>
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        <invCountry>NZ</invCountry>

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        <fairValLevel>2</fairValLevel>
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        <name>First Franklin Mortgage Loan Trust 2005-FF4</name>
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        <name>Ford Motor Credit Company LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
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        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNR 2017-99 DI</title>
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        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2017-160 TI</title>
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        <name>Government National Mortgage Association</name>
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        <title>GNR 2012-149 GI</title>
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        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2017-99 DI</title>
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        <name>Ford Motor Credit Company LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
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      <invstOrSec>
        <name>CDC Mortgage Capital Trust</name>
        <lei>N/A</lei>
        <title>CDCMC 2004-HE3 M2</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Icahn Enterprises, L.P. / Icahn Enterprises Finance Corporation</name>
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        <assetCat>DBT</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Denali Capital Clo Xi Ltd/Llc</name>
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        <title>DEN11 2015-1A DR</title>
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        <balance>1000000.00000000</balance>
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        <isRestrictedSec>Y</isRestrictedSec>

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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNR 2018-37 CI</title>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNS 408 9</title>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Federal Home Loan Mortgage Corp.</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>Athene Global Funding</name>
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      <invstOrSec>
        <name>The Bank of New York Mellon Corp.</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>ANFIELD BBH SWEEP</name>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2011-157 AI</title>
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        <name>Sound Point CLO II Ltd / LLC</name>
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        <name>Bcap Llc Tr 07-Aa2</name>
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        <name>Impac CMB Trust</name>
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        <name>Government National Mortgage Association</name>
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        <title>GNR 2012-108 PS</title>
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      <invstOrSec>
        <name>Federal Home Loan Mortgage Corp.</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHR 4669 TI</title>
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        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2014-91 SB</title>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNS 417 C24</title>
        <cusip>31395QE71</cusip>
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        <name>Venture 33 Clo Limited &amp; Llc</name>
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      <invstOrSec>
        <name>BNP Paribas SA</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>FirstEnergy Corp.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>United Airlines</name>
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        <title>UAL TL B 1L USD</title>
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        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2018-120 JI</title>
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        <fairValLevel>2</fairValLevel>
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        <name>Devon Energy Corporation</name>
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        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNR 2017-97 SW</title>
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        <name>United States Treasury Bills</name>
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        <name>Teva Pharmaceutical Finance Netherlands III B.V.</name>
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        <name>Government National Mortgage Association</name>
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        <title>GNR 2012-69 QI</title>
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        <name>Government National Mortgage Association</name>
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        <name>Aercap Ireland Capital DAC</name>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNS 409 64</title>
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        <issuerCat>USGSE</issuerCat>
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        <name>Federal National Mortgage Association</name>
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        <name>KeyBank National Association</name>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
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      <invstOrSec>
        <name>Aames Mortgage Trust 1997-D</name>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
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      <invstOrSec>
        <name>Federal Home Loan Mortgage Corp.</name>
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        <title>FHS 303 141</title>
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        <name>Merrill Lynch Mortgage Investors, Inc.</name>
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        <title>CBASS 2004-CB6 M2</title>
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        <name>Occidental Petroleum Corporation</name>
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        <title>OXY 2.9 08/15/24</title>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2016-54 PI</title>
        <cusip>38379WMH2</cusip>
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        <name>TIAA Asset Management Finance Company, LLC</name>
        <lei>N/A</lei>
        <title>TIAAGL 4 1/8 11/01/24</title>
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        <name>Federal Home Loan Mortgage Corp.</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHR 4291 MS</title>
        <cusip>3137B7AC3</cusip>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2012-149 CS</title>
        <cusip>38378GR91</cusip>
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        <name>Federal Home Loan Mortgage Corp.</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHR 4591 QI</title>
        <cusip>3137BQQ91</cusip>
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        <issuerCat>USGSE</issuerCat>
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        <name>Banc America Mortgage Securitites Inc</name>
        <lei>549300IE5TDZLY0T0V30</lei>
        <title>BOAMS 2004-A 2A4</title>
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        <name>Skymiles IP Ltd. &amp; Delta Air Lines Inc.</name>
        <lei>Q2CCMS6R0AS67HJMBN42</lei>
        <title>DAL 4 1/2 10/20/25</title>
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        <balance>937500.00000000</balance>
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        <name>ENEL Finance International N.V.</name>
        <lei>0YQH6LCEF474UTUV4B96</lei>
        <title>ENELIM 2.65 09/10/24</title>
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        <balance>500000.00000000</balance>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

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      <invstOrSec>
        <name>Bear Stearns Asset Backed Securities I Trust</name>
        <lei>N/A</lei>
        <title>BSABS 2004-HE7 M4</title>
        <cusip>073879EX2</cusip>
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        <balance>40769.17550000</balance>
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        <assetCat>ABS-O</assetCat>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

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          <maturityDt>2034-08-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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        <name>Mountain View Clo Ix Limited</name>
        <lei>549300URXZ1TS31FK720</lei>
        <title>MVW 2015-9A CR</title>
        <cusip>62432BAU7</cusip>
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        <curCd>USD</curCd>
        <valUSD>1446055.50000000</valUSD>
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        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNS 409 83</title>
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          <isin value="US3136FLDL76"/>
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        <curCd>USD</curCd>
        <valUSD>52005.41000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNR 2009-31 PI</title>
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        <curCd>USD</curCd>
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        <assetCat>ABS-O</assetCat>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</annualizedRt>
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      </invstOrSec>
      <invstOrSec>
        <name>Asset Backed Secs Corp Home Equity Loan</name>
        <lei>N/A</lei>
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          <isin value="US04541GGC06"/>
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        <balance>26203.72550000</balance>
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        <curCd>USD</curCd>
        <valUSD>30244.43000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.90633100</annualizedRt>
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      <invstOrSec>
        <name>Deutsche Mortgage Securities Inc Mortgage Loan Trust</name>
        <lei>529900RSBMUF46QF5O69</lei>
        <title>DMSI 2004-4 7AR2</title>
        <cusip>251563FE7</cusip>
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          <isin value="US251563FE72"/>
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        <balance>3009.07850000</balance>
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        <curCd>USD</curCd>
        <valUSD>2724.51000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.88133100</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNR 2012-84 KI</title>
        <cusip>3136A7R95</cusip>
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          <isin value="US3136A7R959"/>
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        <balance>133254.85500000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Ameriquest Mortgage Securities</name>
        <lei>N/A</lei>
        <title>AMSI 2003-11 AF6</title>
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          <isin value="US03072SLU77"/>
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        <assetCat>ABS-O</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
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        <title>FNS 407 40</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNS 413 126</title>
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        <balance>174309.62270000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2019-H16 CI</title>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
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        <title>GNR 2007-26 SD</title>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Structured Asset Securities Corp.</name>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2020-47 MI</title>
        <cusip>38382EDP9</cusip>
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        <isRestrictedSec>N</isRestrictedSec>

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          <couponKind>Fixed</couponKind>
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        <name>Sprint LLC</name>
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        <assetCat>DBT</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Federal Home Loan Mortgage Corp.</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHR 4558 DI</title>
        <cusip>3137BNC44</cusip>
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        <balance>34539.06500000</balance>
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        <assetCat>ABS-O</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Federal Home Loan Mortgage Corp.</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHR 3935 SH</title>
        <cusip>3137AGTF7</cusip>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Morgan Stanley ML</name>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Steele Creek CLO 2014-1 Ltd./LLC</name>
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        <title>STCR 2014-1RA B</title>
        <cusip>85816WAE4</cusip>
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        <balance>520000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>Y</isRestrictedSec>

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        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Government National Mortgage Association</name>
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        <name>Government National Mortgage Association</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Societe Generale S.A.</name>
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        <name>American Airlines (AA Advantage Loyalty)</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <title>FHR 4325 GI</title>
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        <name>AMMC CLO XI, Limited</name>
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        <name>Government National Mortgage Association</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2020-86 TK</title>
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        <name>Government National Mortgage Association</name>
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        <title>GNR 2013-90 AI</title>
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        <name>Telecom Italia S.p.A.</name>
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        <name>PENN Entertainment Inc</name>
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        <name>Federal National Mortgage Association</name>
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        <name>Greenwood Pk Clo Ltd</name>
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        <name>Morgan Stanley</name>
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        <name>Government National Mortgage Association</name>
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        <name>Impac CMB Trust</name>
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        <name>Laboratory Corp of America Holdings</name>
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        <name>Government National Mortgage Association</name>
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        <name>Federal Home Loan Mortgage Corp.</name>
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        <name>Government National Mortgage Association</name>
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        <name>Bear Stearns Asset Backed Securities Trust</name>
        <lei>N/A</lei>
        <title>BSABS 2003-AC5 A2</title>
        <cusip>07384YMB9</cusip>
        <identifiers>
          <isin value="US07384YMB91"/>
        </identifiers>
        <balance>5406.17300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5297.56000000</valUSD>
        <pctVal>0.003730613280</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2019-22 CI</title>
        <cusip>38381RDY2</cusip>
        <identifiers>
          <isin value="US38381RDY27"/>
        </identifiers>
        <balance>2175636.78220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>127115.50000000</valUSD>
        <pctVal>0.089516451430</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.00000100</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Nissan Motor Acceptance Co LLC</name>
        <lei>7D6DIU2QXTUJRFNNJA49</lei>
        <title>NSANY 1 1/8 09/16/24</title>
        <cusip>65480CAB1</cusip>
        <identifiers>
          <isin value="US65480CAB19"/>
        </identifiers>
        <balance>1500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1470498.77000000</valUSD>
        <pctVal>1.035545088704</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.12500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2019-22 HI</title>
        <cusip>38381REQ8</cusip>
        <identifiers>
          <isin value="US38381REQ83"/>
        </identifiers>
        <balance>198725.11770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26049.82000000</valUSD>
        <pctVal>0.018344634972</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-10-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EQT Corporation</name>
        <lei>4NT01YGM4X7ZX86ISY52</lei>
        <title>EQT 6 1/8 02/01/25</title>
        <cusip>26884LAH2</cusip>
        <identifiers>
          <isin value="US26884LAH24"/>
        </identifiers>
        <balance>750000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>750162.23000000</valUSD>
        <pctVal>0.528274371156</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.12500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNS 385 3</title>
        <cusip>3136FEV74</cusip>
        <identifiers>
          <isin value="US3136FEV746"/>
        </identifiers>
        <balance>402103.13160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>66161.39000000</valUSD>
        <pctVal>0.046591744157</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2009-87 IW</title>
        <cusip>38376KXJ5</cusip>
        <identifiers>
          <isin value="US38376KXJ59"/>
        </identifiers>
        <balance>2580744.63410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>84277.05000000</valUSD>
        <pctVal>0.059349036529</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.42008100</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Federal National Mortgage Association</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNR 2018-2 LI</title>
        <cusip>3136B0ZQ2</cusip>
        <identifiers>
          <isin value="US3136B0ZQ29"/>
        </identifiers>
        <balance>178584.29290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17842.86000000</valUSD>
        <pctVal>0.012565182928</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-12-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CWABS Inc.</name>
        <lei>N/A</lei>
        <title>CWL 2004-6 2A3</title>
        <cusip>126673BA9</cusip>
        <identifiers>
          <isin value="US126673BA97"/>
        </identifiers>
        <balance>21837.45960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21152.67000000</valUSD>
        <pctVal>0.014895995820</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.63133000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Impac CMB Trust</name>
        <lei>N/A</lei>
        <title>IMM 2004-5 1A3</title>
        <cusip>45254NJJ7</cusip>
        <identifiers>
          <isin value="US45254NJJ72"/>
        </identifiers>
        <balance>2926.92680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2869.49000000</valUSD>
        <pctVal>0.002020733602</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.35132900</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Chase Mortgage Financial Trust</name>
        <lei>N/A</lei>
        <title>CHASE 2007-A1 7A1</title>
        <cusip>161630AU2</cusip>
        <identifiers>
          <isin value="US161630AU28"/>
        </identifiers>
        <balance>1422.55500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1441.94000000</valUSD>
        <pctVal>0.001015433617</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.35612700</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNR 2019-21 SI</title>
        <cusip>38381B7A6</cusip>
        <identifiers>
          <isin value="US38381B7A67"/>
        </identifiers>
        <balance>9599715.02790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>75988.46000000</valUSD>
        <pctVal>0.053512099538</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.26538100</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>
      <explntrNote note="Returns are reported without deducting sales loads and redemption fees, if any." noteItem="B.5.a"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2024-05-28</ncom:dateSigned>
      <ncom:nameOfApplicant>Two Roads Shared Trust</ncom:nameOfApplicant>
      <ncom:signature>Laura Szalyga</ncom:signature>
      <ncom:signerName>Laura Szalyga</ncom:signerName>
      <ncom:title>Treasurer</ncom:title>
    </signature>
  </formData>
</edgarSubmission>
